QIS 5: Fifth Quantitative Impact Study

19 September 2005updated 16 June 2006

Questionnaire and instructions

In March 2005, the Basel Committee on Banking Supervision re-discussed the schedules for national rule-making processes within member countries and decided to review the calibration of the Basel II Framework in spring 2006. In order to ensure that the envisaged review is based on the most recent, high-quality data and to evaluate the impact of the new proposals for the recognition of double default and trading book-related issues, the Committee announced that it will undertake a fifth Quantitative Impact Study (QIS 5) between October and December 2005.

The Committee provided templates of the QIS 5 workbook and accompanying instructions which were based on the drafts published in July. In addition, a data quality questionnaire was provided.

The QIS 5 Workbook and the data quality questionnaire available for download were for information purposes only. While the structure of the workbooks used for the QIS 5 data collection exercise was the same in all participating countries, it was important that banks only used the workbook obtained from their respective national supervisory agency to submit their returns. Only these workbooks were adjusted to reflect the national discretion choices and were protected in a way such that they could be incorporated in the data aggregation process. National supervisors also provided additional instructions if deemed necessary.

Results

On 24 May 2006, the Basel Committee reviewed the calibration of the Basel II Framework based on the QIS 5 results and decided to maintain the current calibration. The Committee's Working Group on Overall Capital and Quantitative Impact Study prepared a detailed report on the QIS 5 results, including data from 382 banks in 32 countries analysed at the Secretariat.